Milstein's type schemes for fractional SDEs
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Publication:985345
DOI10.1214/08-AIHP196zbMATH Open1197.60070arXivmath/0702317MaRDI QIDQ985345FDOQ985345
Authors: Mihai Gradinaru, Ivan Nourdin 
Publication date: 21 July 2010
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: Weighted power variations of fractional Brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.
Full work available at URL: https://arxiv.org/abs/math/0702317
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stochastic differential equationfractional Brownian motionexact rate of convergenceMilstein's type schemeweighted power variations
Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Cited In (23)
- Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
- Asymptotic behavior for quadratic variations of non-Gaussian multiparameter Hermite random fields
- CEV model equipped with the long-memory
- A central limit theorem for some generalized martingale arrays
- Central and non-central limit theorems for weighted power variations of fractional Brownian motion
- Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Convergence in total variation to a mixture of Gaussian laws
- Taylor schemes for rough differential equations and fractional diffusions
- Discretizing the fractional Lévy area
- Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion
- Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
- The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
- Rate of convergence for the weighted Hermite variations of the fractional Brownian motion
- Error analysis for approximations to one-dimensional SDEs via the perturbation method
- The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
- Error distribution for one-dimensional stochastic differential equations driven by fractional Brownian motion
- Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
- Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion
- Discrete rough paths and limit theorems
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
- Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
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